No, it is not that a third factor explains why the two correlate. It is that a third factor, a "independent variable" with relatively low poisitve correlation can trump the real extremely high correlation of a different "independent variable".
Let X1, X2, X3,...Xn be independent variables, and let Y be the dependent variable.
Let's assume that there are no other independent variables.
And let's assume we can vary a single Xi while holding all other variables constant
With this, let's say we find a very low positive correlation between X1 and Y, but a very high positive correlation between Xn and Y
Under that scenario, X1 might still be the most important factor if we want to change Y.